Cold air + lungs = coughing and chest pain. what is wrong with my lungs?

Could be: A variant of reactive airway disease.

Asthma/Bronchitis: It sounds like your breathing passages are inflamed. If you smoke, that's contributing. If you don't, you may have infection and/or constriction. Cold can often be a trigger in asthma. Broncodilators and antiinflammatory medscan help greatly. See your doc for an exam and prescription so you can feel better!